Kevin_in_GA
4,599 posts
msg #139801
- Ignore Kevin_in_GA |
12/4/2017 9:27:24 PM
However, in my signals it shows up as a portfolio selection (note the "PF" column has a 10 next to it). Are you running a portfolio of 10?
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nibor100
1,010 posts
msg #139802
- Ignore nibor100 |
12/4/2017 9:27:44 PM
The unchecking the Portfolio Only box revealed the #35 Buy to me as I had only the #23 Buy earlier tonight but I don't have the #18 showing up in any mode on any day.
When I reran the signal setups for 12/1 the Portfolio Only box was automatically checked even though it was unchecked before I ran the signals.
Apparently there is a box in the Signal Setup screen, inside the Options tab entitled:
"Display Only Portfolio-Based Signals and Positions:" That was checked also. I unchecked it and now all of my signal runs have an unchecked Portfolio Only box.
I reran 11/29, 11/30, 12/1, and 12/4 and hit the refresh button but still no signs of #18 on any day..very weird.
Thanks,
Ed S.
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graftonian
1,089 posts
msg #139804
- Ignore graftonian
modified |
12/4/2017 10:48:07 PM
Same results as Kevin.
Question: Why is close price in signals display different from my input download? Also could different results be caused by different data? Today from scottrade elite: o=119.76, l=115.57,h=120.62,c=115.57,v=7974699.
@lumbee: check date format in your import data. I scratched my head on that one for a while. Also, if your csv file has a header, ccheck bypass header.
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nibor100
1,010 posts
msg #139816
- Ignore nibor100 |
12/5/2017 9:20:46 AM
The prices I got from Yahoo yesterday for XIV were
o=119.76, l=115.51,h=120.62,c=115.57,v=8,814621
so my low and volume were different.
I noticed this morning, that Yahoo has adjusted the last 4 days volumes from what I had previously retrieved from the Yahoo site as now the volume for XIV on 12/4 on Yahoo, is 9,177,800.
I'll have to look at all 30 filters to see how many of them use volume as an entry or exit criteria to see if this could be impacting the signals and the backtests.
I would guess different data for non volume indicators affects signals, for example those with a 5 % stop loss could or could not reach 5% based on a price being different by only a penny depending on how tightly the percentage is calculated.
Ed S.
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jackmack
334 posts
msg #139818
- Ignore jackmack |
12/5/2017 9:34:31 AM
@davesaint86
You stated "Same signals. System #35 triggered which has the highest average per day % gain and a 91% win rate"
How did you determine that?
Thank you
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Kevin_in_GA
4,599 posts
msg #139820
- Ignore Kevin_in_GA |
12/5/2017 10:21:16 AM
By running #35 by itself. Run -> Run Combinations ... then choose "System" and select #35. Set your start and end dates to be the same as what I ran, and you can see the results for any individual system input.
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davesaint86
725 posts
msg #139823
- Ignore davesaint86
modified |
12/5/2017 11:53:58 AM
Jackmack - I ran my test from 1/1/13 - 11/30/17. Ran the Detailed Analysis of the Strategy, Viewed the Strategy. Exported the trades to a spreadsheet and then conducted a analysis of the past trades by system. I did a quick and dirty analysis and would like to perform a better analysis. I learned something that will save me a lot of time.
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davesaint86
725 posts
msg #139824
- Ignore davesaint86 |
12/5/2017 11:54:35 AM
I just saw Kevin's note, looks a lot easier.
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jackmack
334 posts
msg #139825
- Ignore jackmack |
12/5/2017 12:12:55 PM
Thank you both
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nibor100
1,010 posts
msg #139830
- Ignore nibor100 |
12/5/2017 1:41:51 PM
@davesaint86,
I believe we might have to do it using Excel, when comparing to a backtest that has a specific portfolio size such as Kevin's with 10. I suspect if we run #35 all by itself it has very few or no conflicting overlapping trades.
However, in a 30 strategy backtest with a 10 limit, there may be days that #35 would have a trade but the portfolio already has 10 active trades.
Ed S.
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